Optimal Control Problem for the Lyapunov Exponents of Random Matrix Products

N. H. Du
Additional contact information
N. H. Du: Vietnam National University, Thanh Xuan

Journal of Optimization Theory and Applications, 2000, vol. 105, issue 2, No 6, 347-369

Abstract: Abstract This paper deals with the optimal control problem for the Lyapunov exponents of stochastic matrix products when these matrices depend on a controlled Markov process with values in a finite or countable set. Under some hypotheses, the reduced process satisfies the Doeblin condition and the existence of an optimal control is proved. Furthermore, with this optimal control, the spectrum of the system consists of only one element.

Keywords: random matrix products; Lyapunov exponents; Markov processes; decision models; optimal policy; optimal control; system spectrum (search for similar items in EconPapers)
Date: 2000
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://link.springer.com/10.1023/A:1004661918667 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:joptap:v:105:y:2000:i:2:d:10.1023_a:1004661918667

Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/10957/PS2

DOI: 10.1023/A:1004661918667

Access Statistics for this article

Journal of Optimization Theory and Applications is currently edited by Franco Giannessi and David G. Hull

More articles in Journal of Optimization Theory and Applications from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().